Asymmetric dependence in the stochastic frontier model using skew normal copula
In this paper, a new skew normal copula-based stochastic frontier model (SFM) is proposed to investigate the asymmetric dependence among the disturbances U (representing technical inefficiency) and V (representing noise). By employing the skew-normal copula in SFM, the asymmetric joint behavior of U...
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Published in | International journal of approximate reasoning Vol. 128; pp. 56 - 68 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Elsevier Inc
01.01.2021
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Subjects | |
Online Access | Get full text |
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Summary: | In this paper, a new skew normal copula-based stochastic frontier model (SFM) is proposed to investigate the asymmetric dependence among the disturbances U (representing technical inefficiency) and V (representing noise). By employing the skew-normal copula in SFM, the asymmetric joint behavior of U and V can be parameterized, thereby allowing the data to have the opportunity to determine the adequacy of the independence or symmetric copula assumption. The skewness of ordinary least square residuals under copula-based SFM is discussed. The performance of the proposed skew normal copula-based SFM is evaluated through simulation studies and an analysis of a real data set. |
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ISSN: | 0888-613X 1873-4731 |
DOI: | 10.1016/j.ijar.2020.10.011 |